Stern School of Business
New York University
New York, NY 10012
Institutional Affiliation: New York University
NBER Working Papers and Publications
|May 2019||Common Risk Factors in Cryptocurrency|
with Yukun Liu, Aleh Tsyvinski: w25882
We find that three factors – cryptocurrency market, size, and momentum – capture the cross-sectional expected cryptocurrency returns. We consider a comprehensive list of price- and market-related factors in the stock market, and construct their cryptocurrency counterparts. Nine cryptocurrency factors form successful long-short strategies that generate sizable and statistically significant excess returns. We show that all of these strategies are accounted for by the cryptocurrency three-factor model.